Journal of Applied Mathematics and Stochastic Analysis
Volume 2006 (2006), Article ID 95818, 28 pages
doi:10.1155/JAMSA/2006/95818
Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
Laboratoire de Statistique et Processus, Université du Maine, Le Mans Cedex 9, 72085, France
Received 29 July 2004; Revised 25 January 2005; Accepted 25 January 2005
Copyright © 2006 S. Hamadène and I. Hdhiri. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract
We show the existence of a solution for the double-barrier
reflected BSDE when the barriers are completely separate and the
generator is continuous with quadratic growth. As an application,
we solve the risk-sensitive mixed zero-sum stochastic differential
game. In addition we deal with recallable options under
Knightian uncertainty.